Options, Futures, and Other Derivatives with Derivagem CD (7th Edition)

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Unformatted text preview: guaranteed profit 1 −0.12⋅12 2 −0.05⋅12 6 −0.10⋅12 3 −0.04⋅12 1 −0.06⋅12 4 −0.08⋅12 = $3.66 − 12 = $2.93 − 19 = $1.80 = $8.66 − 58 = $6.46 − 60e 4 −0.12⋅12 = $5.56 > $5.00 −0.06⋅ 1 14. p = c + D + Ke − rT − S 0 = 2 + 0.50e ( 2 −0.10⋅12 + 0.50e 5 −0.10⋅12 ) + 30e 6 −0.10⋅12 − 29 = $2.51 16. S 0 − K ≤ C − P ≤ S 0 − Ke − rT S 0 − K − C ≤ − P ≤ S 0 − Ke − rT − C C + Ke −rT − S 0 ≤ P ≤ C + K − S 0 12 4 + 30e − 31 ≤ P ≤ 4 + 30 − 31 $2.41 ≤ P ≤ $3.00 − 0.08⋅ 3 22. p = c + D + Ke − rT − S 0 = 3 + 1e Buy the put (-$3) Sell the call (+$3) Buy the stock (-$19) Borrow $0.99 for 1 month Borrow $18.01 for 3 months A guaranteed profit 1 −0.10⋅12 + 20e 3 −0.10⋅12 − 19 = $4.50 > $3.00...
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This document was uploaded on 10/11/2010.

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